Chapter Contents

Previous

Next

Example 16.1: Simulating Klein's Model I

In this example, the SIMLIN procedure simulates a model of the U.S. economy called Klein's Model I. The SAS data set KLEIN, shown in Output 16.1.1, is used as input to the SYSLIN and SIMLIN procedures.

   data klein;
      input year c p w i x wp g t k wsum;
      date=mdy(1,1,year);
      format date year.;
      y   =c+i+g-t;
      yr  =year-1931;
      klag=lag(k);
      plag=lag(p);
      xlag=lag(x);
      if year>=1921;
      label c   ='consumption'
            p   ='profits'
            w   ='private wage bill'
            i   ='investment'
            k   ='capital stock'
            y   ='national income'
            x   ='private production'
            wsum='total wage bill'
            wp  ='govt wage bill'
            g   ='govt demand'
            t   ='taxes'
            klag='capital stock lagged'
            plag='profits lagged'
            xlag='private product lagged'
            yr  ='year-1931';
      datalines;
     ... data lines omitted ...
   proc print data=klein;
   run;

   title1 'Simulation of Klein''s Model I using SIMLIN';
   proc syslin 3sls data=klein outest=a;
   
      instruments klag plag xlag wp g t yr;
      endogenous c p w i x wsum k y;
   
      consume: model    c = p plag wsum;
      invest:  model    i = p plag klag;
      labor:   model    w = x xlag yr;
   
      product: identity x = c + i + g;
      income:  identity y = c + i + g - t;
      profit:  identity p = x - w - t;
      stock:   identity k = klag + i;
      wage:    identity wsum = w + wp;
   run;
   
   proc print data=a;
   run;

The OUTEST= data set A created by the SYSLIN procedure contains parameter estimates to be used by the SIMLIN procedure. The OUTEST= data set is shown in Output 16.1.2.

   proc simlin est=a data=klein type=3sls
               estprint total interim=2 outest=b;
      endogenous c p w i x wsum k y;
      exogenous  wp g t yr;
      lagged  klag k 1   plag p 1   xlag x 1;
      id year;
      output out=c p=chat phat what ihat xhat wsumhat khat yhat
                   r=cres pres wres ires xres wsumres kres yres;
   run;

The reduced form coefficients and multipliers are added to the information read from EST= data set A and written to the OUTEST= data set B. The predicted and residual values from the simulation are written to the OUT= data set C specified in the OUTPUT statement.

The SIMLIN procedure first prints the structural coefficient matrices read from the EST= data set, as shown in Output 16.1.3.

   proc print data=b;
      where _type_ = 'REDUCED' | _type_ = 'IMULT1';
   run;

   title2 h=1 'Plots of Simulation Results';
   symbol1 i=none v=star;
   symbol2 i=join v=circle;
   proc gplot data=c;
      plot c*year=1 chat*year=2 / overlay HREF=1941.5;
   run;

Chapter Contents

Previous

Next

Top

Copyright © 1999 by SAS Institute Inc., Cary, NC, USA. All rights reserved.